I'm gonna start with a stupid question, did you remove the key? Ok and now a more real answer the steering wheel locks via a mechanism in the steering column. It is a replaceable part, but a pain to do so.

I disagree, my 2002, 2003, and 2005 had no steering wheel lock. [MENTION=50075]SurrealOne[/MENTION] has an 2004, maybe he can let us know if he has a steering wheel lock. GM stopped using them when they introduced Passlock 2. I guess that they felt no need for that security feature and they saved a boat load of money not putting them in.

I also agree with Pikey and RayVoy. I have a 2003 with no steering wheel lock. I also researched that topic at one point, and GM did discontinue it somewhere around 2002 because they didn't think it was necessary with the level of security passlock 2 offers.